Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155186 | Statistics & Probability Letters | 2008 | 4 Pages |
Abstract
The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
André Klein, Guy Mélard, Abdessamad Saidi,